I am not sure why you say that ' we know that his rival was the winner' - based on the information you provided, we know that Joe 'defeats his long-time rival' - which means that Joe won and his rival lost.
His 'long time rival later dies", not Joe.
I don't know the story, so can't be certain what the loss of innocence quote refers to, but it sounds like Joe is the hero and like all heroes he is basically good and thinks he is doing the right thing - so to have someone die as a result of his actions, without his intending to kill them (which is what it sounds like) would be a difficult thing for Joe to face. The 'loss of innocence' here may refer to Joe being confronted for the first time with some harsh realities that show him that life isn't as straightforward as he had always thought.